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QuantLib_YoYCapFloorTermPriceSurface

NAME

QuantLib::YoYCapFloorTermPriceSurface -

Abstract base class, inheriting from InflationTermStructure.

SYNOPSIS

#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>

Inherits QuantLib::InflationTermStructure.

Inherited by InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.

Public Member Functions

YoYCapFloorTermPriceSurface (Natural fixingDays, const Period &yyLag, const boost::shared_ptr< YoYInflationIndex > &yii, Rate baseRate, const Handle< YieldTermStructure > &nominal, const DayCounter &dc, const Calendar &cal, const BusinessDayConvention &bdc, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice)

virtual std::pair< std::vector< Time >, std::vector< Rate > > atmYoYSwapTimeRates () const =0
atm yoy swaps from put-call parity on cap/floor data
virtual std::pair< std::vector< Date >, std::vector< Rate > > atmYoYSwapDateRates () const =0

virtual boost::shared_ptr< YoYInflationTermStructure > YoYTS () const =0
derived from yoy swap rates
boost::shared_ptr< YoYInflationIndex > yoyIndex () const
index yoy is based on
virtual Date yoyOptionDateFromTenor (const Period &p) const

 

virtual BusinessDayConvention businessDayConvention () const
inspectors
virtual Natural fixingDays () const

virtual Real price (const Date &d, const Rate k) const =0

virtual Real capPrice (const Date &d, const Rate k) const =0

virtual Real floorPrice (const Date &d, const Rate k) const =0

virtual Rate atmYoYSwapRate (const Date &d, bool extrapolate=true) const =0

virtual Rate atmYoYRate (const Date &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const =0

virtual Real price (const Period &d, const Rate k) const

virtual Real capPrice (const Period &d, const Rate k) const

virtual Real floorPrice (const Period &d, const Rate k) const

virtual Rate atmYoYSwapRate (const Period &d, bool extrapolate=true) const

virtual Rate atmYoYRate (const Period &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const

virtual std::vector< Rate > strikes () const

virtual std::vector< Rate > capStrikes () const

virtual std::vector< Rate > floorStrikes () const

virtual std::vector< Period > maturities () const

virtual Rate minStrike () const

virtual Rate maxStrike () const

virtual Date minMaturity () const

virtual Date maxMaturity () const

Protected Member Functions

virtual bool checkStrike (Rate K)

virtual bool checkMaturity (const Date &d)

Protected Attributes

Natural fixingDays_

BusinessDayConvention bdc_

boost::shared_ptr< YoYInflationIndex > yoyIndex_

std::vector< Rate > cStrikes_

std::vector< Rate > fStrikes_

std::vector< Period > cfMaturities_

std::vector< Real > cfMaturityTimes_

Matrix cPrice_

Matrix fPrice_

std::vector< Rate > cfStrikes_

boost::shared_ptr< YoYInflationTermStructure > yoy_

std::pair< std::vector< Time >, std::vector< Rate > > atmYoYSwapTimeRates_

std::pair< std::vector< Date >, std::vector< Rate > > atmYoYSwapDateRates_

Detailed Description

Abstract base class, inheriting from InflationTermStructure.

Since this can create a yoy term structure it does take a YoY index.

Possible enhancements

deal with index interpolation.

Member Function Documentation

virtual std::pair<std::vector<Time>, std::vector<Rate> > atmYoYSwapTimeRates () const [pure virtual]

atm yoy swaps from put-call parity on cap/floor data uses interpolation (on surface price data), yearly maturities.

virtual BusinessDayConvention businessDayConvention () const [virtual]

inspectors Note:

you don't know if price() is a cap or a floor without checking the YoYSwapATM level.
atm cap/floor prices are generally inaccurate because they are from extrapolation and intersection.

Author

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